مقال
Mean-Field Maximum Principle for Optimal Control of Forward–Backward Stochastic Systems with Jumps and its Application to Mean-Variance Portfolio Problem
Mokhtar Hafayed✉، Moufida Tabet، Samira Boukaf
التفاصيل
| اللغة الأصلية | English |
|---|---|
| المجلّة | Communications in Mathematics and Statistics |
| المجلّد | 3 |
| العدد | 2 |
| الصفحات | 163-186 |
| الناشر | Springer Science+Business Media |
| ISSN | 2194-6701 · 2194-671X |
| DOI | 10.1007/s40304-015-0054-1 |
| حالة النشر | منشور — 28 ماي 2015 |
الكلمات المفتاحية
البصمة
- Stochastic processes and financial applications
- Risk and Portfolio Optimization
- Fuzzy Systems and Optimization
- mean-field optimal control
- maximum principle
- forward-backward stochastic differential equations
- jump processes
- necessary optimality conditions
- mean-variance optimization
- time-inconsistent control
- recursive utility
- Finance
- Management Science and Operations Research
- Statistics and Probability
- Economics, Econometrics and Finance
- Decision Sciences
- Mathematics